Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0345
Annualized Std Dev 0.2926
Annualized Sharpe (Rf=0%) 0.1180

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.2014
Quartile 1 -0.0084
Median 0.0005
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0096
Maximum 0.1647
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0184
Skewness -0.2522
Kurtosis 11.9456

Downside Risk

Close
Semi Deviation 0.0133
Gain Deviation 0.0129
Loss Deviation 0.0140
Downside Deviation (MAR=210%) 0.0177
Downside Deviation (Rf=0%) 0.0131
Downside Deviation (0%) 0.0131
Maximum Drawdown 0.7673
Historical VaR (95%) -0.0280
Historical ES (95%) -0.0427
Modified VaR (95%) -0.0269
Modified ES (95%) -0.0402
From Trough To Depth Length To Trough Recovery
2014-06-24 2020-03-23 NA -0.7673 1698 1447 NA
2008-05-21 2009-03-02 2014-04-03 -0.5783 1478 196 1282
2001-05-21 2002-07-23 2004-09-21 -0.4291 837 292 545
1999-09-10 2000-02-25 2000-05-08 -0.1763 167 117 50
2007-12-27 2008-01-22 2008-04-16 -0.1688 76 17 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1 -1 -0.1 -1.7 -0.6 0.8 2.1 -0.3 -0.3 -0.1 2 0.3 0.1
2000 -0.2 2.5 -0.5 1.6 -0.9 -1.3 1.9 1 0.1 3.2 2.2 -2 7.7
2001 -1.3 1.1 2.3 -0.6 -0.4 1.3 -0.4 0 -1.4 1.5 -0.5 -1.1 0.5
2002 0.5 1.4 0.7 0.6 1.4 -1 -5.9 0.7 3.2 2.6 1.2 0.2 5.6
2003 2 0.8 1.9 0.5 1.7 -0.1 -0.3 0.1 1.5 1.5 1 -0.7 10.4
2004 -0.9 1.9 -1.2 0.4 1.4 0.1 0.4 1.8 1.4 -0.6 -2.4 0.2 2.4
2005 1.7 -1.9 2.5 1.3 1.9 2.2 1.1 2.6 -1.6 0.6 3.2 0.4 14.7
2006 -2.4 1.7 -1.4 1.6 0.3 0.3 0.1 1.5 0.4 -1 0.3 -1 0.4
2007 0.4 -0.3 -1.4 0.4 0.9 0.3 -0.3 1.3 1.7 -2.9 0.3 -1.3 -0.8
2008 2.5 -3.3 1.9 -2.2 1 0.4 0 -0.5 -1.6 2.1 -10.6 1.1 -9.6
2009 -1.4 -2.4 2.1 3.2 3.7 0.1 1 -1.7 -3.1 -3.8 1.3 -0.8 -2.1
2010 3.3 0.9 1.8 -1.2 -4.8 -0.4 -0.2 3.7 1.3 0.1 3 0.1 7.7
2011 1.6 -1.9 0.3 1.5 -2.4 0.9 -0.1 -0.8 -2.9 -3.2 -0.6 0 -7.4
2012 0.4 1 0.8 1.4 -2.5 3 0.5 1 0.5 0.4 -0.1 2.3 9
2013 0.9 0.1 -0.2 -1.6 -2.1 0.7 1.6 0 0.6 -0.4 -0.2 1 0.5
2014 -1.3 0.5 0.6 -0.2 -0.1 0.1 -0.8 0.6 -2 2 0.4 -0.8 -1.1
2015 0.9 -0.4 0 0.2 -0.3 -1.3 -2.2 -3.5 0.2 0.7 0.8 0.4 -4.5
2016 -1.7 2.6 -1.3 -0.2 0 0.5 -3.3 -0.3 1.4 0 0.2 -0.3 -2.4
2017 -0.7 2 -0.3 -0.3 0.6 0.4 0 1 0 1.1 0.8 -0.3 4.4
2018 1 -0.1 2.1 -0.6 0.5 0.6 -1.4 -0.8 1.4 0.8 -0.2 0.5 3.9
2019 1.7 1.8 1.3 -2 -1.8 0.1 -2.3 0 -2.3 2.3 -1 0.6 -1.7
2020 -3.1 -0.1 -5 -5.7 1.8 -2.4 -0.5 -0.7 -3.1 0.6 0.5 -0.8 -17.3
2021 0.7 2.6 0 NA NA NA NA NA NA NA NA NA 3.3

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart